64 citations · 320 across the 79 of their papers we have counts for
4 papers · 1 filter
Asymptotic expansion of an estimator for the Hurst coefficient
Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the di…
Analytical and computational problems related to fractional Gaussian noise
Yuliya Mishura, Kostiantyn Ralchenko, René L. Schilling
We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this projection, in partic…
Option pricing in Sandwiched Volterra Volatility model
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
We introduce a new model of financial market with stochastic volatility driven by an arbitrary Hölder continuous Gaussian Volterra process. The distinguishing feature of the model…
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary -H…